(1) Spectrum-DL uses a risk budget driven procedure to gain dynamic exposure to the underlying basket, Spectrum Index. The effective exposure varies up to a maximum limit set to 300%. The objective is to offer significant outperformance to the underlying index at a maximum drawdown risk of -15%.
Fear and uncertainty returned in August causing US equities and government bonds to sell off as well as USD to strengthen against most currencies which resulted in a negative month for the two asset allocation strategies. Spectrum returned -1.03% and Spectrum-DL -3.07% as compared to the S&P500 which returned -3.1%.
Despite short-term equity risk increasing from July to August the current level remains below longer term averages which has allowed the dynamic leverage model to maintain close to maximum exposure to the underlying Spectrum strategy reducing only slightly from 300% in August to 280% for September.
- Equity allocation remains unchanged at 27% with sector allocation the same in Industrials, Cyclicals, Healthcare and Financials
- Commodity allocation remains at zero
- FX exposure remains at 9% with positions remaining in CHF, NZD and EUR
- Fixed Income exposure remains at 62% in 2YR US Treasuries plus 2% in cash
- Spectrum-DL exposure to Spectrum reduces from 300% to 280%.